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8 Models of conditional heteroskedasticity

Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print:
2010
Published Online:
May 2011
ISBN:
9780199587148
eISBN:
9780191595387
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199587148.003.0008
Subject:
Economics and Finance, Econometrics

This chapter considers modelling conditional heteroskedasticity and begins with the well known autoregressive conditional heteroskedasticity (ARCH) model. Its basic extension to the generalized ... More


Univariate periodic time series models

Philip Hans Franses and Richard Paap

in Periodic Time Series Models

Published in print:
2004
Published Online:
August 2004
ISBN:
9780199242023
eISBN:
9780191601286
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/019924202X.003.0003
Subject:
Economics and Finance, Econometrics

In Chapter 3 we outline the basics of periodic models for univariate time series data. We abstain from a discussion of trending data, and assume there are no stochastic trends. We consider two types ... More


Macroeconomics and ARCH

James D. Hamilton

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0005
Subject:
Economics and Finance, Econometrics

Studying volatility has traditionally been a much lower priority for macroeconomists than for researchers in financial markets because the former's interest is primarily in describing the first ... More


Multivariate Autocontours for Specification Testing in Multivariate GARCH Models *

González‐Rivera Gloria and Emre Yoldas

in Volatility and Time Series Econometrics: Essays in Honor of Robert Engle

Published in print:
2010
Published Online:
May 2010
ISBN:
9780199549498
eISBN:
9780191720567
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199549498.003.0011
Subject:
Economics and Finance, Econometrics

This chapter develops a new set of specification tests for multivariate dynamic models based on the concept of autocontours. The chapter is organized as follows. Section 2 describes the battery of ... More


Essays in Nonlinear Time Series Econometrics

Niels Haldrup, Mika Meitz, and Pentti Saikkonen (eds)

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.001.0001
Subject:
Economics and Finance, Econometrics

This book is a collection of 14 original research articles presented at the conference Nonlinear Time Series Econometrics that was held in Ebeltoft, Denmark, in June 2012. The conference gathered ... More


Modeling

Youseop Shin

in Time Series Analysis in the Social Sciences: The Fundamentals

Published in print:
2017
Published Online:
September 2017
ISBN:
9780520293168
eISBN:
9780520966383
Item type:
chapter
Publisher:
University of California Press
DOI:
10.1525/california/9780520293168.003.0002
Subject:
Sociology, Law, Crime and Deviance

Chapter Two defines important concepts and explains the structure of time series data. Then, it explains the univariate time series modeling procedure, such as how to visually inspect a time series; ... More


Modeling Time-Varying Volatility in Financial Returns: Evidence from the Bond Markets

Cristina Amado and Helinä Laakkonen

in Essays in Nonlinear Time Series Econometrics

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199679959
eISBN:
9780191760136
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199679959.003.0006
Subject:
Economics and Finance, Econometrics

The “unusually uncertain” phase in the global financial markets has inspired many researchers to study the effects of ambiguity (or “Knightian uncertainty”) on the decisions made by investors and ... More


The superiority of the LM test in a class of econometric models where the Wald test performs poorly

Jun Ma and Charles R. Nelson

in Unobserved Components and Time Series Econometrics

Published in print:
2015
Published Online:
January 2016
ISBN:
9780199683666
eISBN:
9780191763298
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199683666.003.0014
Subject:
Economics and Finance, Econometrics

In models having a representation y=γ‎·g(β‎,x) + ɛ the standard Wald test for β‎ has systematically been the wrong size in finite samples when the identifying parameter γ‎ is small relative to its ... More


Measurement and Modelling of Volatility

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0018
Subject:
Economics and Finance, Econometrics

This chapter discusses volatility measurement and modelling. It covers realized volatility, models of conditional variance, econometric approaches, testing for autoregressive conditional ... More


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